Academic interests

Courses taught

Background

I finished my master's degree in industrial mathematics at NTNU in 2002. Then I started working at the Norwegian Computing Centre, first as a research scientist and later as a senior research scientist. From 2008 to 2012, I was a PhD student at the centre Statistics for Innovation, with a 20% position as a research scientist at the Norwegian Computing Centre. Since 2015 I am Associate professor in insurance mathematics and statistics at the Department of mathematics at the University of Oslo.

Learning the structure of a Bayesian Network from multidimensional data is an important task in many situations, as it allows understanding conditional (in)dependence relations which in turn can be used for prediction. Current methods mostly assume a multivariate normal or a discrete multinomial model. A new greedy learning algorithm for continuous non-Gaussian variables, where marginal distributions can be arbitrary, as well as the dependency structure, is proposed. It exploits the regular vine approximation of the model, which is a tree-based hierarchical construction with pair-copulae as building blocks. It is shown that the networks obtainable with our algorithm belong to a certain subclass of chordal graphs. Chordal graphs representations are often preferred, as they allow very efficient message passing and information propagation in intervention studies. It is illustrated through several examples and real data applications that the possibility of using non-Gaussian margins and a nonnon-linear dependency structure outweighs the restriction to chordal graphs.

We investigate how well a suite of regional climate models (RCMs) from the ENSEMBLES project represents the residual spatial dependence of daily precipitation. The study area we consider is a 200 km × 200 km region in south central Norway, with RCMs driven by ERA-40 boundary conditions at a horizontal resolution of approximately 25 km × 25 km. We model the residual spatial dependence with pair-copula constructions, which allows us to assess both the overall and tail dependence in precipitation, including uncertainty estimates. The selected RCMs reproduce the overall dependence rather well, though the discrepancies compared to observations are substantial. All models overestimate the overall dependence in the west-east direction. They also overestimate the upper tail dependence in the north-south direction during winter, and in the west-east direction during summer, whereas they tend to underestimate this dependence in the north-south direction in summer. Moreover, many of the climate models do not simulate the small-scale dependence patterns caused by the pronounced orography well. However, the misrepresented residual spatial dependence does not seem to affect estimates of high quantiles of extreme precipitation aggregated over a few grid boxes. The underestimation of the area-aggregated extreme precipitation is due mainly to the well-known underestimation of the univariate margins for individual grid boxes, suggesting that the correction of RCM biases in precipitation might be feasible.

A pair-copula construction is a decomposition of a multivariate copula into a structured system, called regular vine, of bivariate copulae or pair-copulae. The standard practice is to model these pair-copulae parametrically, inducing a model risk, with errors potentially propagating throughout the vine structure. The empirical pair-copula provides a nonparametric alternative, which is conjectured to still achieve the parametric convergence rate. Its main advantage for the user is that it does not require the choice of parametric models for each of the pair-copulae constituting the construction. It can be used as a basis for inference on dependence measures, for selecting an appropriate vine structure, and for testing for conditional independence.

We explore various estimators for the parameters of a pair-copula construction (PCC), among those the stepwise semiparametric (SSP) estimator, designed for this dependence structure. We present its asymptotic properties, as well as the estimation algorithm for the two most common types of PCCs. Compared to the considered alternatives, that is, maximum likelihood, inference functions for margins and semiparametric estimation, SSP is in general asymptotically less efficient. As we show in a few examples, this loss of efficiency may however be rather low. Furthermore, SSP is semiparametrically efficient for the Gaussian copula. More importantly, it is computationally tractable even in high dimensions, as opposed to its competitors. In any case, SSP may provide start values, required by the other estimators. It is also well suited for selecting the pair-copulae of a PCC for a given data set.

We compare two of the most used estimators for the parameters of a pair-copula construction (PCC), namely the semiparametric (SP) and the stepwise semiparametric (SSP) estimators. By construction, the computational speed of the SSP estimator is considerably higher, at the expense of its asymptotic efficiency. Based on an extensive simulation study, we find that the performance of the SSP estimator is overall satisfactory compared to its contender. SSP loses some efficiency with respect to SP with increasing dependence, especially in the top levels of the PCC. On the other hand, the SSP estimator may suffer less under reduced sample sizes and misspecification of the model. Finally, it is the only real alternative for large-dimensional problems. Though it struggles with the top level parameters, the lower order dependences of the resulting estimated PCC mimic the true distribution well. All in all, this study supports the use of SSP in most applications.

The empirical distribution of daily returns from financial market variables such as exchange rates, equity prices, and interest rates, is often skewed, having one heavy, and one semiheavy, or more Gaussian-like tail. The NIG distribution, that has two semi-heavy tails, models skewness rather well, but only in cases where the tails are not too heavy. On the other hand, the skew Student’s t-distributions presented in the literature have two polynomial tails. Hence, they fit heavy-tailed data well, but they do not handle substantial skewness. In this paper, we argue for a special case of the generalised hyperbolic distribution that we denote the GH skew Student’s t-distribution. This distribution has the important property that one tail has polynomial, and the other exponential behaviour. Further, it is the only subclass of the generalised hyperbolic distribution having this property. Although the GH skew Student’s tdistribution has been previously proposed in the literature, it is not well known, and specifically, its special tail behaviour has not been addressed. This paper presents empirical evidence of exponential/polynomial tail behaviour in skew financial data, and demonstrates the superiority of the GH skew Student’s t-distribution with respect to data fit, compared with its competitors. Through VaR and expected shortfall calculations we show why the exponential/polynomial tail behaviour is important in practice. We also present a simple algorithm for computing the MLE estimators, using a mixture representation of the GH skew Student’s t-distribution and the EM-algorithm.

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing financial returns have focused on the univariate case. The few that are concerned with their multivariate extensions are mainly based on the multivariate normal assumption. The idea of this paper is to use the multivariate normal inverse Gaussian (MNIG) distribution as the conditional distribution for a multivariate GARCH model. The MNIG distribution belongs to a very ﬂexible family of distributions that captures heavy tails and skewness in the distribution of individual stock returns, as well as the asymmetry in the dependence between stocks observed in financial time series data. The usefulness of the MNIG GARCH model is highlighted through a value-at-risk (VAR) application on a portfolio of European, American and Japanese equities. Backtesting shows that for a one-day holding period this model outperforms a Gaussian GARCH model and a Student’s t GARCH model. Moreover, it is slightly better than a skew Student’s t GARCH model.